On the Memory of Products of Long Range Dependent Time Series

Christian Leschinski

Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

Abstract: This paper derives the memory of the product series $x_ty_t$, where $x_t$ and $y_t$ are stationary long memory time series of orders $d_x$ and $d_y$, respectively. Special attention is paid to the case of squared series and products of series driven by a common stochastic factor. It is found that the memory of products of series with non-zero means is determined by the maximal memory of the factor series, whereas the memory is reduced if the series are mean zero.

Keywords: Long Memory; Products of Time Series; Squared Time Series; Fractional Cointegration (search for similar items in EconPapers)
JEL-codes: C10 C22 (search for similar items in EconPapers)
Pages: 10 pages
Date: 2016-02
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: On the memory of products of long range dependent time series (2017)
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